Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2009

• Fabio Busetti & Juri Marcucci & Giovanni Veronese, 2009, "Comparing forecast accuracy: A Monte Carlo investigation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 723, Sep.
• Benavides Guillermo & Capistrán Carlos, 2009, "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers, Banco de México, number 2009-01, Jan.
• Capistrán Carlos & Constandse Christian & Ramos Francia Manuel, 2009, "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers, Banco de México, number 2009-05, Jul.
• Engle Robert F. & Rangel José Gonzalo, 2009, "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México, number 2009-17, Dec.
• Milica D. Obadović & Mirjana M. Obadović, 2009, "An Analytical Method Of Estimating Value-At-Risk On The Belgrade Stock Exchange," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 54, issue 183, pages 119-138, October -.
• Božidar Cerovic & Aleksandra Nojkovic, 2009, "Transition And Growth: What Was Taught And What Happened," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 54, issue 183, pages 7-31, October -.
• Pesaran, M. Hashem & Timmermann, Allan, 2009, "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 325-337.
• Anatolyev, Stanislav, 2009, "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 149-160.
• Millimet, Daniel L. & Tchernis, Rusty, 2009, "On the Specification of Propensity Scores, With Applications to the Analysis of Trade Policies," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 3, pages 397-415.
• Karim Barhoumi & Olivier Darn & Laurent Ferrara, 2009, "Are disaggregate data useful for factor analysis in forecasting French GDP?," Working papers, Banque de France, number 232.
• Claire C l rier, 2009, "Forecasting inflation in France," Working papers, Banque de France, number 262.
• Christopher Martin & Costas Milas, 2009, "Uncertainty And Monetary Policy Rules In The United States," Economic Inquiry, Western Economic Association International, volume 47, issue 2, pages 206-215, April, DOI: 10.1111/j.1465-7295.2008.00160.x.
• R. Aaberge & U. Colombino & T. Wennemo, 2009, "Evaluating Alternative Representations Of The Choice Sets In Models Of Labor Supply," Journal of Economic Surveys, Wiley Blackwell, volume 23, issue 3, pages 586-612, July, DOI: 10.1111/j.1467-6419.2008.00573.x.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009, "International Stock Return Comovements," Journal of Finance, American Finance Association, volume 64, issue 6, pages 2591-2626, December, DOI: 10.1111/j.1540-6261.2009.01512.x.
• Q. Farooq Akram & Ragnar Nymoen, 2009, "Model Selection for Monetary Policy Analysis: How Important is Empirical Validity?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 71, issue 1, pages 35-68, February, DOI: 10.1111/j.1468-0084.2008.00516.x.
• Thierry Warin & Phanindra V. Wunnava & Hubert P. Janicki, 2009, "Testing Mundell's Intuition of Endogenous OCA Theory," Review of International Economics, Wiley Blackwell, volume 17, issue 1, pages 74-86, February, DOI: 10.1111/j.1467-9396.2008.00802.x.
• Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009, "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper, Norges Bank, number 2009/19, Nov.
• Eyal Argov, 2009, "The Choice of a Foreign Price Measure in a Bayesian Estimated New-Keynesian Model for Israel," Bank of Israel Working Papers, Bank of Israel, number 2009.04, Jun.
• Eduardo F. L. de Melo & Beatriz Vaz de Melo Mendes, 2009, "Local Estimation of Copula Based Value-at-Risk," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 1, pages 29-50.
• Evarist Stoja & Arnold Polanski, 2009, "Dynamic Density Forecasts for Multivariate Asset Returns," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/616, Sep.
• Evarist Stoja & Arnold Polanski, 2009, "Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/617, Dec.
• Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2009, "Have Structural Changes Eliminated the Out-of-Sample Ability of Financial Variables To Forecast Real Activity After the Mid-1980s? Evidence From the Canadian Economy," Working Papers, Brock University, Department of Economics, number 0910, Dec, revised Oct 2010.
• Laurent Ferrara, 2009, "Caractérisation et datation des cycles économiques en zone euro," Revue économique, Presses de Sciences-Po, volume 60, issue 3, pages 703-712.
• A. Pedro Duarte Silva, 2009, "Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 01, Jan.
• Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2009, "How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/13, Oct.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "The 'Puzzles' methodology: en route to Indirect Inference?," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/22, Nov.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2009, "Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/3, Mar, revised Dec 2009.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "Some problems in the testing of DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/31, Dec.
• Li, GuangJie, 2009, "Consistent Estimation, Model Selection and Averaging of Dynamic Panel Data Models with Fixed Effect," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/5, Mar.
• Li, GuangJie & Leon-Gonzalez, Roberto, 2009, "A Correction Function Approach to Solve the Incidental Parameter Problem," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/6, Mar.
• Franz R. Hahn, 2009, "A note on management efficiency and international banking. Some empirical panel evidence," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 69-81, May.
• PierrePhilippe Combes & Gilles Duranton & Laurent Gobillon & Diego Puga & Sébastien Roux, 2009, "The Productivity Advantages of Large Cities: Distinguishing Agglomeration from Firm Selection," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0027, Oct.
• Jan Hanousek & Evzen Kocenda, 2009, "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp382, Feb.
• M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008, "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series, CESifo, number 2231.
• Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009, "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series, CESifo, number 2618.
• Jim Malley & Ulrich Woitek, 2009, "Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model," CESifo Working Paper Series, CESifo, number 2626.
• Jim Malley & Ulrich Woitek, 2009, "Productivity Shocks and Aggregate Cycles in an Estimated Endogenous Growth Model," CESifo Working Paper Series, CESifo, number 2672.
• Michael Funke & Marc Gronwald, 2009, "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," CESifo Working Paper Series, CESifo, number 2692.
• Sasa Zikovic & Randall Filer, 2009, "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series, CESifo, number 2820.
• M. Hashem Pesaran & Paolo Zaffaroni, 2009, "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series, CESifo, number 2857.
• Gerit Vogt, 2009, "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, April.
• Michael Reinhard & Hans Schedl & Achim Buchwald & Ralph Henger, 2007, "Positionierung der deutschen Industrie im globalen Konsolidierungsprozess : im Auftrag des Bundesministeriums für Wirtschaft und Technologie," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36.
• Esmeralda de Jesus Ratinho Lopes Arranhado Ramalho, 2009, "Covariate Measurement Error: Bias Reduction under Response-based Sampling," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2009_15.
• Andrés Eduardo Rangel Jiménez, 2009, "¿Histéresis en la tasa de desempleo de Bogotá? Consideraciones sobre el uso de los test ADF y Zivot-Andrews," Revista de Economía y Administración, Universidad Autónoma de Occidente.
• Milena Hoyos & Johanna Ramos & Lorena Vivas, 2009, "Un modelo SETAR para el PIB Colombiano," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 6160, May.
• LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009, "Consistent ranking of multivariate volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009002, Jan.
• SBRANA, Giacomo & SILVESTRINI, Andrea, 2009, "What do we know about comparing aggregate and disaggregate forecasts?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009020, Mar.
• Favero, Carlo A. & Consolo, Agostino & Paccagnini, Alessia, 2009, "On the Statistical Identification of DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7176, Feb.
• Muellbauer, John & Aron, Janine, 2009, "Some Issues in Modeling and Forecasting Inflation in South Africa," CEPR Discussion Papers, Centre for Economic Policy Research, number 7183, Feb.
• Duranton, Gilles & Combes, Pierre-Philippe & Puga, Diego & Gobillon, Laurent & Roux, Sébastien, 2009, "The productivity advantages of large cities: Distinguishing agglomeration from firm selection," CEPR Discussion Papers, Centre for Economic Policy Research, number 7191, Mar.
• Canova, Fabio & Sala, Luca, 2009, "Back to square one: identification issues in DSGE models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7234, Mar.
• Taylor, John & Wieland, Volker & Cwik, Tobias & Cogan, John F., 2009, "New Keynesian versus old Keynesian government spending multipliers," CEPR Discussion Papers, Centre for Economic Policy Research, number 7236, Mar.
• Kilian, Lutz & Kim, Yun Jung, 2009, "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7266, Apr.
• Taylor, John & Wieland, Volker, 2009, "Surprising comparative properties of monetary models: Results from a new data base," CEPR Discussion Papers, Centre for Economic Policy Research, number 7294, May.
• Attanasio, Orazio & Mesnard, Alice & Battistin, Erich, 2009, "Food and Cash Transfers: Evidence from Colombia," CEPR Discussion Papers, Centre for Economic Policy Research, number 7326, Jun.
• Ferrara, Laurent & Darné, Olivier, 2009, "Identification of slowdowns and accelerations for the euro area economy," CEPR Discussion Papers, Centre for Economic Policy Research, number 7376, Jul.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2009, "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7385, Jul.
• Fafchamps, Marcel & Comola, Margherita, 2009, "Testing Unilateral and Bilateral Link Formation," CEPR Discussion Papers, Centre for Economic Policy Research, number 7406, Aug.
• Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2009, "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7447, Sep.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7537, Nov.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "The 'Puzzles' Methodology: en route to Indirect Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7539, Nov.
• Wieland, Volker, 2009, "Fiscal stimulus and the promise of future spending cuts," CEPR Discussion Papers, Centre for Economic Policy Research, number 7615, Dec.
• Pierre-Philippe COMBES & Gilles DURANTON & Laurent GOBILLON & Diego PUGA & Sébastien ROUX, 2009, "The Productivity Advantages of Large Cities : Distinguishing Agglomeration from Firm Selection," Working Papers, Center for Research in Economics and Statistics, number 2009-08.
• Janine Aron & John Muellbauer, 2009, "Some Issues in Modeling and Forecasting Inflation in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2009-01.
• Margherita Comola & Marcel Fafchamps, 2009, "Testing Unilateral and Bilateral Link Formation," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2009-13.
• Julie Litchfield & Barry Reilly & Mario Veneziani, 2009, "How Happy are the Albanians: an Empirical ANALYSIS OF LIFE SATISFACTION," DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number dises1065, Nov.
• Sucarrat, Genaro & Escribano, Álvaro, 2009, "Automated financial multi-path GETS modelling," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we093620, Jul.
• Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel, 2009, "Evaluating Value-at-Risk models via Quantile Regression," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094625, May.
• Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2009, "An improved bootstrap test of stochastic dominance," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094827, Jul.
• Vincent BODART & Philippe LEDENT & Fatemeh SHADMAN-METHA, 2009, "An Employment Equation for Belgium," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2009016, Jun.
• Galvao Jr, A. F. & Montes-Rojas, G., 2009, "Instrumental variables quantile regression for panel data with measurement errors," Working Papers, Department of Economics, City St George's, University of London, number 09/06.
• Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009, "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1713, Jul.
• Vadim Marmer & Taisuke Otsu, 2009, "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1724, Aug, revised Jul 2011.
• Alfredo M. Pereira & Jorge M. Andraz, 2009, "Social Security And Economic Performance In Portugal: After All That Has Been Said And Done How Much Has Actually Changed?," Working Papers, Economics Department, William & Mary, number 81, Jan.
• Patricia Prüfer & Gabriele Tondl, 2009, "The FDI-Growth Nexus in Latin America: The Role of Source Countries and Local Conditions," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c014_025, Jun.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.4A.
• Christian Dreger & Jürgen Wolters, 2009, "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 78, issue 1, pages 56-65, DOI: 10.3790/vjh.78.1.56.
• Konstantin A. Kholodilin & Stefan Kooths, 2009, "Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 76, issue 21, pages 348-354.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 860.
• Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009, "Rating Assignments: Lessons from International Banks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 868.
• Tatevik Sekhposyan & Barbara Rossi, 2009, "Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?," Working Papers, Duke University, Department of Economics, number 09-06.
• Alastair Hall & Atsushi & James M Nason & Barbara Rossi, 2009, "Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models," Working Papers, Duke University, Department of Economics, number 09-09.
• Raffaella Giacomini & Barbara Rossi, 2009, "Model Comparisons in Unstable Environments," Working Papers, Duke University, Department of Economics, number 09-10.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers, Duke University, Department of Economics, number 10-73.
• Gomez Zaldivar, M. & Ventosa-Santaularia, D., 2009, "Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009, "Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_005.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009, "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_023.
• Alexandre Petkovic & David Veredas, 2009, "Aggregation of linear models for panel data," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009-012, Mar.
• Cogan, John F. & Cwik, Tobias & Taylor, John B. & Wieland, Volker, 2009, "New Keynesian versus old Keynesian government spending multipliers," Working Paper Series, European Central Bank, number 1090, Sep.
• Ciccarelli, Matteo & Garcí­a, Juan Angel, 2009, "What drives euro area break-even inflation rates?," Working Paper Series, European Central Bank, number 996, Jan.
• Andrabi, Tahir & Das, Jishnu & Khwaja, Asim Ijaz & Zajonc, Tristan, 2009, "Do Value-Added Estimates Add Value? Accounting for Learning Dynamics," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp09-034, Oct.
• Chabi-Yo, Fousseni, 2009, "Expected Returns and Volatility of Fama-French Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-17, Sep.
• David Ardia, 2009, "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 105-126, March.
• Tomoaki Nakatani & Timo Terasvirta, 2009, "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 147-163, March.
• D. S. Poskitt & C. L. Skeels, 2009, "Assessing the magnitude of the concentration parameter in a simultaneous equations model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 26-44, March.
• James J. Heckman & Petra E. Todd, 2009, "A note on adapting propensity score matching and selection models to choice based samples," Econometrics Journal, Royal Economic Society, volume 12, issue s1, pages 230-234, January.
• Malley, Jim University of Glasgow & Woitek, Ulrich, 2009, "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-18.
• Jochmann, Markus & Koop, Gary & Leon-Gonzalez & Strachan, Rodney W., 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-44.
• Kascha, Christian & Mertens, Karel, 2009, "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 2, pages 267-282, February.
• Stan Hurn & Ralf Becker, 2009, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy, Elsevier, volume 39, issue 2, pages 311-326, September.
• Matheron, Julien & Poilly, Céline, 2009, "How well does a small structural model with sticky prices and wages fit postwar U.S. data?," Economic Modelling, Elsevier, volume 26, issue 1, pages 266-284, January.
• Anatolyev, Stanislav, 2009, "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, volume 26, issue 1, pages 82-89, January.
• Kolasa, Marcin, 2009, "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," Economic Modelling, Elsevier, volume 26, issue 6, pages 1245-1269, November.
• Lamla, Michael J., 2009, "Long-run determinants of pollution: A robustness analysis," Ecological Economics, Elsevier, volume 69, issue 1, pages 135-144, November.
• Li, Tong, 2009, "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 114-123, February.
• Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009, "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, volume 150, issue 1, pages 99-115, May.
• Mencía, Javier & Sentana, Enrique, 2009, "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, volume 153, issue 2, pages 105-121, December.
• Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009, "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, volume 16, issue 2, pages 280-305, March.
• Ren, Yu & Shimotsu, Katsumi, 2009, "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 483-506, June.
• Bhaskara Rao, B. & Rao, Gyaneshwar, 2009, "Structural breaks and energy efficiency in Fiji," Energy Policy, Elsevier, volume 37, issue 10, pages 3959-3966, October.
• Alagidede, Paul & Panagiotidis, Theodore, 2009, "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, volume 18, issue 1-2, pages 1-11, March.
• Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009, "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, volume 5, issue 2, pages 199-219, June.
• Sheremet, Oleg & Lucas, André, 2009, "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 3, pages 415-425, June.
• Brissimis, Sophocles N. & Delis, Manthos D., 2009, "Identification of a loan supply function: A cross-country test for the existence of a bank lending channel," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 2, pages 321-335, April.
• Dahl, Christian M. & Hansen, Henrik & Smidt, John, 2009, "The cyclical component factor model," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 119-127.
• Ager, P. & Kappler, M. & Osterloh, S., 2009, "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 167-181.
• Castle, Jennifer L. & Hendry, David F., 2009, "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, volume 31, issue 1, pages 5-28, March.
• Li, Ming-Yuan Leon, 2009, "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 10, pages 3076-3088, DOI: 10.1016/j.matcom.2009.02.013.
• Canova, Fabio & Sala, Luca, 2009, "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, volume 56, issue 4, pages 431-449, May.
• Daniel Buncic, 2009, "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_18, 08.
• Tommaso Proietti, 2009, "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_24, 09.
• Segoviano, Miguel A. & Goodhart, Charles, 2009, "Banking stability measures," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24416, Jan.
• Gianfranco Di Vaio & Kerstin Enflo, 2009, "Did globalisation lead to segmentation? Identifying cross-country growth regimes in the long-run, 1870-2003," Working Papers, Economic History Society, number 9013, Apr.
• Christopher Martin & C Milas, 2009, "The Sub-Prime Crisis and UK Monetary Policy," Department of Economics Working Papers, University of Bath, Department of Economics, number 1/09.
• Waltman, L. & van Eck, N.J.P., 2009, "A Mathematical Analysis of the Long-run Behavior of Genetic Algorithms for Social Modeling," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2009-011-LIS, Mar.
• Katelijne A.E. Carbonez, 2009, "Model Selection and Estimation of Long-Memory Time-Series Models," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 4, pages 512-554.
• Alex Ferreira & Sérgio Naruhiko Sakurai, 2009, "Personal Charisma or the Economy? Macroeconomic Indicators of Presidential Approval Ratings in Brazil," Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto, number 09_09.
• Andrea Bastianin, 2009, "Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector," Working Papers, Fondazione Eni Enrico Mattei, number 2009.24, Apr.
• Cyril Caillault, Dominique Guégan, 2009, "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 26-50, April.
• Pereira, Pedro L. Valls, 2009, "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 175, Jan.
• Raymond Kan & Cesare Robotti & Jay Shanken, 2009, "Pricing model performance and the two-pass cross-sectional regression methodology," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2009-11.
• Todd E. Clark & Michael W. McCracken, 2009, "In-sample tests of predictive ability: a new approach," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 09-10.
• Todd E. Clark & Michael W. McCracken, 2009, "Nested forecast model comparisons: a new approach to testing equal accuracy," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 09-11.
• Todd E. Clark & Michael W. McCracken, 2009, "Nested forecast model comparisons: a new approach to testing equal accuracy," Working Papers, Federal Reserve Bank of St. Louis, number 2009-050, DOI: 10.20955/wp.2009.050.
• Todd E. Clark & Michael W. McCracken, 2009, "In-sample tests of predictive ability: a new approach," Working Papers, Federal Reserve Bank of St. Louis, number 2009-051, DOI: 10.20955/wp.2009.051.
• Pablo Guerrón-Quintana & Atsushi Inoue & Lutz Kilian, 2009, "Frequentist inference in weakly identified DSGE models," Working Papers, Federal Reserve Bank of Philadelphia, number 09-13.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2009, "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_01, Feb.
• Fabrizio Cipollini & Giampiero M. Gallo, 2009, "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_02, Feb.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009, "Semiparametric vector MEM," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_03, Feb.
• Jim Malley & Ulrich Woitek, 2009, "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," Working Papers, Business School - Economics, University of Glasgow, number 2009_15, Apr.
• Jim Malley & Ulrich Woitek, 2009, "Productivity shocks and aggregate cycles in an estimated endogenous growth model," Working Papers, Business School - Economics, University of Glasgow, number 2009_23, Jun.
• Dr. Ulrike Lehr & Dr. Marc Ingo Wolter & Anett Großmann, 2009, "Economic impacts of the RES Obligations in Austria – an Application of the Macro-Econometric Model e3.at," GWS Discussion Paper Series, GWS - Institute of Economic Structures Research, number 09-1.
• Cyril Caillault & Dominique Guegan, 2009, "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00375765, Apr.
• Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009, "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00423890, Aug.
• Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009, "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Post-Print, HAL, number halshs-00423890, Aug.
• Alexandru Minea & C. Rault, 2009, "Some New Insights into Monetary Transmission Mechanism in Bulgaria," Post-Print, HAL, number halshs-00539141, DOI: 10.11130/jei.2009.24.3.563.
• Margherita Comola & Marcel Fafchamps, 2009, "Testing unilateral and bilateral link formation," PSE Working Papers, HAL, number halshs-00574971, Dec.
• Margherita Comola & Marcel Fafchamps, 2009, "Testing unilateral and bilateral link formation," Working Papers, HAL, number halshs-00574971, Dec.
• Michael Funke & Marc Gronwald, 2009, "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20906, Jun.
• Oh, Donghyun & Heshmati, Almas & Lööf, Hans, 2009, "Technical Change and Total Factor Productivity Growth for Swedish Manufacturing and Service Industries," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 193, Sep.
• Aas, Eline, 2009, "Cost-effectiveness of screening for colorectal cancer with once-only flexible sigmoidoscopy and faecal occult blood test," HERO Online Working Paper Series, University of Oslo, Health Economics Research Programme, number 2008:6, Jun.
• Lönnbark, Carl, 2009, "Uncertainty of Multiple Period Risk Measures," Umeå Economic Studies, Umeå University, Department of Economics, number 768, Apr.
• Li, Yushu & Shukur, Ghazi, 2009, "Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:6, Feb.
• Li, Yushu & Shukur, Ghazi, 2009, "Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:7, Feb.
• Lillie Lam & Laurence Fung & Ip-wing Yu, 2009, "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers, Hong Kong Monetary Authority, number 0901, Jan.
• Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009, "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles, Harvard University Department of Economics, number 3007645.
• Wooldridge, Jeffrey M. & Imbens, Guido, 2009, "Recent Developments in the Econometrics of Program Evaluation," Scholarly Articles, Harvard University Department of Economics, number 3043416.
• Chetty, Nadarajan, 2009, "Sufficient Statistics for Welfare Analysis: A Bridge Between Structural and Reduced-Form Methods," Scholarly Articles, Harvard University Department of Economics, number 9748528.
• Khwaja, Asim Ijaz & Andrabi, Tahir & Das, Jishnu & Zajonc, Tristan, 2009, "Do Value-Added Estimates Add Value? Accounting for Learning Dynamics," Scholarly Articles, Harvard Kennedy School of Government, number 4435671.
• Toshiaki Watanabe & Masato Ubukata, 2009, "Option Pricing Using Realized Volatility and ARCH Type Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-066, Apr.
• Jui-Kuei Chen & I-Shuo Chen, 2009, "Performance Evaluation For The Banking Industry In Taiwan Based On Total Quality Management," Global Journal of Business Research, The Institute for Business and Finance Research, volume 3, issue 1, pages 49-60.
• Marcano, Luis & Ruprah, Inder J., 2009, "Does Technical Assistance Matter?: An Impact Evaluation Approach to Estimate its Value Added," IDB Publications (Working Papers), Inter-American Development Bank, number 2900, Jan, DOI: http://dx.doi.org/10.18235/0011138.
• Luis Marcano & Inder J. Ruprah, 2009, "Does Technical Assistance Matter? An Impact Evaluation Approach to Estimate its Value Added," OVE Working Papers, Inter-American Development Bank, Office of Evaluation and Oversight (OVE), number 0109, Jan.
• Orazio Attanasio & Erich Battistin & Alice Mesnard, 2009, "Food and cash transfers: evidence from Colombia," IFS Working Papers, Institute for Fiscal Studies, number W09/15, Jul.
• Wagner, Martin & Hlouskova, Jaroslava, 2009, "Growth Regressions, Principal Components and Frequentist Model Averaging," Economics Series, Institute for Advanced Studies, number 236, Mar.
• Llano, Carlos & Polasek, Wolfgang & Sellner, Richard, 2009, "Bayesian Methods for Completing Data in Space-time Panel Models," Economics Series, Institute for Advanced Studies, number 241, Jul.
• Gökçe AKSOY & Onur OLGUN, 2009, "Optimal Hedge oranı tahminlemesi üzerine ampirik bir çalışma: VOB örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 274, pages 33-53.
• Mohammad S. Hasan, 2009, "Financial Innovations and the Interest Elasticity of Money Demand in the United Kingdom, 1963¡V2009," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 8, issue 3, pages 225-242, December.
• Per Asberg Sommar & Hovick Shahnazarian, 2009, "Interdependencies between Expected Default Frequency and the Macro Economy," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 3, pages 83-110, September.
• Pierre Philippe Combes & Gilles Duranton & Laurent Gobillon & Diego Puga & Sébastien Roux, 2009, "The productivity advantages of large cities: Distinguishing agglomeration from firm selection," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales, number 2009-02, Feb, revised 30 Nov 2010.
• Alex Luiz Ferreira., 2009, "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 46, issue 133, pages 51-66.
• Benavides, Guillermo, 2009, "Predictive Accuracy of Futures Options Implied Volatility: the Case of the Exchange Rate Futures Mexican Peso-Us Dollar," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 09, pages 55-95, segundo s.
• Giancarlo Bruno, 2009, "Non-linear relation between industrial production and business surveys data," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 119, Sep.
• Ulas UNLU & Birol YILDIZ & Abdullah YALAMA, 2009, "Ýlk Halka Arzlarda Uzun Dönem Getirilerinin Yapay Sinir Aðlarý ile ÝMKB Ýçin Ampirik Bir Çalýþma," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 10, issue 1, pages 29-47, December.
• Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009, "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2009-07, Apr.
• Busso, Matias & DiNardo, John & McCrary, Justin, 2009, "New Evidence on the Finite Sample Properties of Propensity Score Matching and Reweighting Estimators," IZA Discussion Papers, IZA Network @ LISER, number 3998, Feb.
• Heckman, James J. & Todd, Petra E., 2009, "A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples," IZA Discussion Papers, IZA Network @ LISER, number 4304, Jul.
• Bargain, Olivier B. & Doorley, Karina, 2009, "In-Work Transfers in Good Times and Bad: Simulations for Ireland," IZA Discussion Papers, IZA Network @ LISER, number 4644, Dec.
• Xiaohong Chen & Sydney C. Ludvigson, 2009, "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 7, pages 1057-1093, DOI: 10.1002/jae.1091.
• Kyttack Hong & Dong-Hwan Oh, 2009, "Non-Linear Adjustment Process In Won/Dollar And Won/Yen Real Exchage Rates," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 34, issue 2, pages 111-130, December.
• Alexander Mihailov & Fabio Rumler & Johann Scharler, 2009, "Inflation Dynamics in the New EU Member States: How Relevant Are External Factors?," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2009-13, Oct.
• Steven Dickey & Robert Houston Jr., 2009, "Disaggregating Education Production," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 37, issue 2, pages 135-144, June, DOI: 10.1007/s11293-009-9171-0.
• Massimiliano Kaucic, 2009, "Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, volume 34, issue 2, pages 173-193, September, DOI: 10.1007/s10614-009-9176-4.
• Christian Dreger & Jürgen Wolters, 2009, "Money velocity and asset prices in the euro area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 36, issue 1, pages 51-63, February, DOI: 10.1007/s10663-008-9092-1.
• Stefan Günnel & Karl-Heinz Tödter, 2009, "Does Benford’s Law hold in economic research and forecasting?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 36, issue 3, pages 273-292, August, DOI: 10.1007/s10663-008-9084-1.
• Dan Rigby & Kelvin Balcombe & Michael Burton, 2009, "Mixed Logit Model Performance and Distributional Assumptions: Preferences and GM foods," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 42, issue 3, pages 279-295, March, DOI: 10.1007/s10640-008-9227-7.
• Marc Ryser & Stefan Denzler, 2009, "Selecting credit rating models: a cross-validation-based comparison of discriminatory power," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 2, pages 187-203, June, DOI: 10.1007/s11408-009-0101-6.